ECONOMETRIC ANALYSIS REGARDING THE DEPENDENCE OF THE FUTURES PRICE, THE UNDERLYING ASSET AND THE ROBOR

Mircea Ciolpan and Jenica Popescu
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Jenica Popescu: University of Craiova Faculty of Economics and Business Administration

Annals of University of Craiova - Economic Sciences Series, 2012, vol. 3, issue 40, 195-204

Abstract: The derivatives market is an important barometer for the investments return and the national economy trends. To check the efficiency of the Romanian derivatives market represents a milestone for the professional investor. How information contributed to the futures price represented a guarantee for the investors that the derivatives follow the reality of the economy. As well, we considered that the banking interest rate represented a decisive aspect for making an investment decision. By marking the level of profit for the riskless investment an investor could determine the risk and the necessary return for any other market. The multifactorial regression is an econometrical model suitable for the analysis of the links and dependencies of the above mentioned aspects.

Keywords: critical; derivatives, futures price, market efficiency, interest rate, multifactorial regression (search for similar items in EconPapers)
JEL-codes: C01 E44 G13 G24 (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:aio:aucsse:v:3:y:2012:i:40:p:195-204

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